hey up, vivien. I tried wet setting once, it really worked, but i dunno if i would do it again any time soon.
Well, the most important thing is the size of the rollers (which depends on the length of your hair). I used rollers that my hair could loop around (comfortably) twice. If it looped around more than that, it would kinda curl, you know?
I didn't really use setting lotion, my hair was damp, i applied some leave in conditioner, aloe vera gel,a little bit of castor oil (really, just a bit) and used velcro rollers. My friend had to go over my hair with a hand held blow dryer (b/c i don't have a hood one, which i think would have helped much). Dried and let the setters out.
My hair was rolled and shiny. I guess if you had tongs or stuff, you could use them to get it proper straight. I just finger combed. It was werid, like my relaxed days.
I dunno if this helps, but that is my experience. I do girls on the nappturality website (in their photo albums) usually do have piccies of roller sets. I really cant remember the album straight off, but this poster roller set her hair and kept the set in her hair for about a week.